We consider the problem of computing finite-time survival probabilities for various risk models. We develop an approximating discrete-time multinomial lattice that mimics the evolution of the corresponding continuous risk process. A simple recursive algorithm to compute survival probabilities is described. Numerical results show that the proposed scheme yields accurate values in all the considered cases.

Computing finite-time survival probabilities using multinomial approximations of risk models

COSTABILE, Massimo;MASSABO', Ivar;RUSSO, EMILIO
2015

Abstract

We consider the problem of computing finite-time survival probabilities for various risk models. We develop an approximating discrete-time multinomial lattice that mimics the evolution of the corresponding continuous risk process. A simple recursive algorithm to compute survival probabilities is described. Numerical results show that the proposed scheme yields accurate values in all the considered cases.
finite-time survival probabilities, lattice models, risk models with investment income
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11770/137199
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